How to make all polygons into triangles
You can select all the faces and go to Mesh> Faces> Triangulate Faces in the 3D View header (or just press Ctrl+T for the same effect) while in Edit Mode.

As ideasman42  pointed out in the comments, Mesh> Faces> Poke Faces (accessible with Alt+P) will also triangulate the mesh by adding a vertex in the center of each face and fan-filling around the vertex, it may give preferred results for certain cases, for example, cylinder caps.

You could also add a 'Triangulate' modifier to the object and apply it:



Visualisation of the two methods: